Testing the expectations model of the term structure in times of financial transition

Christopher McDermott

Applied Financial Economics, 1998, vol. 8, issue 6, 663-669

Abstract: The efficient market theory of the term structure (expectations theory plus rational expectations) is tested using cointegration methods and a long time span of historical data. The data are from eighteenth century England. The data set is intriguing in that it covers many sub-periods of financial transition. The contribution of this paper lies crucially on this historical period with its changing economic and political environment. For this reason considerable effort has gone into dealing with structural or transitional changes using modern econometric methods. Evidence supporting the efficient market theory is found conditional on the existence of a regime transition in the last decade of the eighteenth century.

Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031098332709 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:8:y:1998:i:6:p:663-669

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031098332709

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().